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The impact of the recent spike in uncertainty on economic activity in the euro area

Author

Listed:
  • Gieseck, Arne
  • Rujin, Svetlana

Abstract

The coronavirus (COVID-19) pandemic has triggered an unprecedented increase in uncertainty. This box shows how selected measures of uncertainty have evolved during the past few months and exploits the information embedded in the measure of macroeconomic uncertainty to assess its impact on economic activity. This is done by using a Bayesian vector autoregressive (BVAR) model which allows the dynamic effect of an uncertainty shock on the variable of interest to be estimated. JEL Classification: C32, D80, E20, E27, E66

Suggested Citation

  • Gieseck, Arne & Rujin, Svetlana, 2020. "The impact of the recent spike in uncertainty on economic activity in the euro area," Economic Bulletin Boxes, European Central Bank, vol. 6.
    • Handle: RePEc:ecb:ecbbox:2020:0006:4
    Note: 1560383
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    File URL: https://www.ecb.europa.eu//pub/economic-bulletin/focus/2020/html/ecb.ebbox202006_04~e36366efeb.en.html
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    Citations

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    Cited by:

    1. Ehrmann, Michael & Holton, Sarah & Kedan, Danielle & Phelan, Gillian, 2021. "Monetary policy communication: perspectives from former policy makers at the ECB," Working Paper Series 2627, European Central Bank.
    2. Liosi, Konstantina, 2023. "The sources of economic uncertainty: Evidence from eurozone markets," Journal of Multinational Financial Management, Elsevier, vol. 69(C).
    3. Salgado Alfredo & Trujillo Alejandro, 2023. "Growth at Risk and Uncertainty: Evidence from Mexico," Working Papers 2023-08, Banco de México.
    4. Daniele Vignoli & Alessandra Minello & Giacomo Bazzani & Camilla Matera & Chiara Rapallini, 2021. "Economic Uncertainty and Fertility Intentions: The Causal Effect of Narratives of the Future," Econometrics Working Papers Archive 2021_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    5. Niels Gillmann & Ostap Okhrin, 2023. "Adaptive local VAR for dynamic economic policy uncertainty spillover," Papers 2302.02808, arXiv.org.
    6. Mirko Licchetta & Eric Meyermans, 2022. "Gross Fixed Capital Formation in the Euro Area During the COVID-19 Pandemic," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 57(4), pages 238-246, July.
    7. Antonio Chirumbolo & Antonino Callea & Flavio Urbini, 2021. "The Effect of Job Insecurity and Life Uncertainty on Everyday Consumptions and Broader Life Projects during COVID-19 Pandemic," IJERPH, MDPI, vol. 18(10), pages 1-20, May.
    8. Nguyen, Thanh Cong, 2022. "Economic policy uncertainty: The probability and duration of economic recessions in major European Union countries," Research in International Business and Finance, Elsevier, vol. 62(C).
    9. Montserrat Guillen & Miguel Santolino & Xenxo Vidal-Llana, 2022. ""Inequality of subjective economic uncertainty and individual economic prospects in the pandemic period"," IREA Working Papers 202202, University of Barcelona, Research Institute of Applied Economics, revised Feb 2022.
    10. Camilla Matera & Lars Dommermuth & Silvia Bacci & Bruno Bertaccini & Alessandra Minello & Daniele Vignoli, 2023. "Perceived Economic Uncertainty and Fertility Intentions in Couples: A Dyadic Extension of the Theory of Planned Behaviour," Journal of Family and Economic Issues, Springer, vol. 44(4), pages 790-806, December.
    11. Daniele Vignoli & Alessandra Minello & Giacomo Bazzani & Camilla Matera & Chiara Rapallini, 2022. "Narratives of the Future Affect Fertility: Evidence from a Laboratory Experiment," European Journal of Population, Springer;European Association for Population Studies, vol. 38(1), pages 93-124, March.
    12. Antonio Chirumbolo & Antonino Callea & Flavio Urbini, 2022. "Living in Liquid Times: The Relationships among Job Insecurity, Life Uncertainty, and Psychosocial Well-Being," IJERPH, MDPI, vol. 19(22), pages 1-20, November.

    More about this item

    Keywords

    Economy; uncertainty;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions

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